trend-breakouthigh risk
Channel Breakout Strategy on Hyperliquid
Does a channel breakout strategy work on Hyperliquid perps? Backtested on real Hyperliquid perps from 2024-08-15 to 2026-07-05, the default settings earned a Sharpe of 0.81 — +77.7% total return with a 40.4% worst drawdown across 3,414 trades, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-07-05 · how this backtest was produced
Sharpe
0.81
default settings
Total return
+77.7%
Worst drawdown
−40.4%
Trades
3,414
2024-08-15 → 2026-07-05 · net of fees, slippage, and funding · price-only Sharpe 0.89 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $404. Free account, your own Hyperliquid keys — Keel only trades.
How it works
How it works
Crypto trends tend to persist: once price pushes beyond its recent volatility range, it more often keeps going than snaps back. The strategy measures each coin's position relative to a 20-day channel built around its average price and volatility, then holds it long or short in proportion to how far — and in which direction — price sits outside that channel. It runs daily across the top-20 Hyperliquid perpetuals, risk-normalized to 1x gross, and rebalances only when a position drifts 20% off target. This is a continuous take on the classic channel breakout: position size scales smoothly with the breakout rather than flipping fully in or out.
When it works best
It profits when strong directional moves extend — coins breaking out and running, in either direction. A 20-day lookback is the sweet spot: it beats both a faster 10-day channel, which reads more false breaks, and a slower 40-day one, which enters late.
When it struggles
Range-bound, mean-reverting markets are the enemy — false breakouts reverse and each one costs. Turnover is high at 3,414 trades over the window, and with no volatility targeting the strategy drew down 40.4% at its worst. It sits firmly in the high-risk band.
How it’s built
The exact strategy behind this backtest — no black box. Switch to code to see or copy the full definition.
Configuration
Globalsconfig
target_timeframe1dbar_offset12h
UniverseassetsTop by Volume · HL Perps · 20 assets
Executiontrading
rebalanceBufferedbuffer_threshold0.2buffer_moderelative+1
Pipeline6 steps
PriceDataLoaderData Loader
timeframe15min
TargetTimeframeResamplerData Transform
KeltnerChannelIndicator
period20multiplier2
ForecastScalerForecast Mapper
avg_abs_target10
ForecastCapperForecast Mapper
limit20
ForecastWeightNormalizerPosition Sizer
target_leverage1
Globals(target_timeframe="1d", bar_offset="12h")Universe(mode="top_volume", top_n=20, market="perp", resolved=[], resolved_at="")Execution( rebalance="buffered", buffer_threshold=0.2, buffer_mode="relative", rebalance_method="to_edge",)Pipeline([ PriceDataLoader(timeframe="15min"), TargetTimeframeResampler(), KeltnerChannel(period=20, multiplier=2.0), ForecastScaler(avg_abs_target=10.0), ForecastCapper(limit=20.0), ForecastWeightNormalizer(target_leverage=1.0),], name="breakout_donchian_hyperliquid")Explore the settings
precomputed · updates instantlyAdjust a setting to see the exact backtested result — including the ones that lost money.
mult
Channel lookback (daily bars)
Universe size (by volume)
Sharpe
0.81
Return
77.7%
Worst DD
−40.4%
Trades
3,414
At $1,000, these settings' worst historical dip was about $404. You land in the editor with this exact setup. Free account, your own keys.
Compare all 7 settings
| Settings | Sharpe | Return | Worst DD | Trades |
|---|---|---|---|---|
| mult 2 · Channel 20 · Universe 20default | 0.81 | 77.7% | −40.4% | 3,414 |
| mult 2 · Channel 10 · Universe 20 | 0.52 | 28.9% | −44.9% | 4,220 |
| mult 2 · Channel 40 · Universe 20 | 0.69 | 55.2% | −46.4% | 2,715 |
| mult 1.5 · Channel 20 · Universe 20 | 0.81 | 77.7% | −40.4% | 3,414 |
| mult 3 · Channel 20 · Universe 20 | 0.81 | 77.7% | −40.4% | 3,414 |
| mult 2 · Channel 20 · Universe 30 | 0.49 | 24.3% | −44.0% | 5,478 |
| mult 2 · Channel 20 · Universe 10 | 0.69 | 55.4% | −42.6% | 1,617 |
The data
Monthly returns
| Month | Return |
|---|---|
| 2024-08 | 0.0% |
| 2024-09 | +7.5% |
| 2024-10 | -11.0% |
| 2024-11 | +55.0% |
| 2024-12 | -3.7% |
| 2025-01 | -28.3% |
| 2025-02 | +44.9% |
| 2025-03 | -15.1% |
| 2025-04 | +14.2% |
| 2025-05 | +4.8% |
| 2025-06 | -15.9% |
| 2025-07 | +6.7% |
| 2025-08 | -14.6% |
| 2025-09 | +15.8% |
| 2025-10 | -0.8% |
| 2025-11 | +14.5% |
| 2025-12 | +0.8% |
| 2026-01 | +16.8% |
| 2026-02 | +19.2% |
| 2026-03 | -14.4% |
| 2026-04 | -10.0% |
| 2026-05 | +8.0% |
| 2026-06 | +3.1% |
| 2026-07 | -3.1% |
Which assets it traded
| Share of return | Avg allocation | Days held | % of time held | Asset |
|---|---|---|---|---|
| 23.64 | -0.0003 | 689 | 100 | SUI |
| 18.84 | -0.0008 | 689 | 100 | VVV |
| 16.6 | -0.0212 | 689 | 100 | kBONK |
| 11.67 | -0.0094 | 689 | 100 | DOGE |
| 11.41 | -0.0051 | 689 | 100 | XRP |
| 8.93 | -0.0177 | 689 | 100 | kPEPE |
| 6.09 | 0.0119 | 689 | 100 | ZEC |
| 5.94 | -0.0095 | 689 | 100 | FARTCOIN |
| 5.59 | -0.0237 | 689 | 100 | WLD |
| 4.44 | -0.0228 | 689 | 100 | XPL |
| 4.2 | 0.0131 | 689 | 100 | BTC |
| 3.7 | -0.0148 | 689 | 100 | PUMP |
| 2.93 | 0.0181 | 689 | 100 | HYPE |
| 2.21 | -0.0009 | 689 | 100 | SOL |
| 1.32 | -0.0029 | 689 | 100 | ETH |
| 0.75 | -0.0173 | 689 | 100 | LIT |
| 0 | null | 689 | 100 | GRAM |
| -0.57 | 0.0114 | 689 | 100 | BNB |
| -3.51 | -0.0032 | 689 | 100 | LINK |
| -10 | -0.0124 | 689 | 100 | NEAR |
How it did in rising vs falling markets
| Market | Days | Return | Sharpe |
|---|---|---|---|
| Rising markets | 289 | +74.2% | 1.57 |
| Falling markets | 397 | +4.2% | 0.37 |
What this is: a historical backtest on real Hyperliquid market data, net of fees, slippage, and funding. Its worst historical drawdown was 40.4% — expect drawdowns of that order or worse. Past performance does not predict future results, and this is not investment advice. Size your account so a full drawdown is survivable.